Preheat the oven to, 220°C/200°C fan/gas 7. Unroll the pastry and cut down the middle lengthways.
Remove the skin from the sausages (you will get best results with lean sausages) and place in a bowl with the onion marmalade, then mix well. Divide the sausage meat in half and place down the middle of each length of pastry.
In a small bowl, mix the yolk and milk with a fork, then brush down one side of the pastry. Fold the pastry over the sausage meat using the egg wash to seal the edges. Chill for 20 minutes, or at this stage they can be kept covered in the fridge for up to 2 days or placed in a sealed container and stored in the freezer for up to a month (defrost completely in the fridge before cooking).
Cut each piece into approximately 6 sausage rolls and place on a lightly oiled baking tray. Brush the tops with the rest of the egg wash and sprinkle the sesame seeds on top. Bake for 20 minutes or until golden and cooked through. Allow to stand for 5-10 minutes before serving.